Financial Mathematics
CRC Press (Verlag)
978-1-138-60363-9 (ISBN)
This textbook provides complete coverage of continuous-time financial models that form the cornerstones of financial derivative pricing theory. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives.
Key features:
In-depth coverage of continuous-time theory and methodology
Numerous, fully worked out examples and exercises in every chapter
Mathematically rigorous and consistent, yet bridging various basic and more advanced concepts
Judicious balance of financial theory and mathematical methods
Guide to Material
This revision contains:
Almost 150 pages worth of new material in all chapters
A appendix on probability theory
An expanded set of solved problems and additional exercises
Answers to all exercises
This book is a comprehensive, self-contained, and unified treatment of the main theory and application of mathematical methods behind modern-day financial mathematics.
The text complements Financial Mathematics: A Comprehensive Treatment in Discrete Time, by the same authors, also published by CRC Press.
Giuseppe Campolieti is Professor of Mathematics at Wilfrid Laurier University in Waterloo, Canada. He has been Natural Sciences and Engineering Research Council postdoctoral research fellow and university research fellow at the University of Toronto. In 1998, he joined the Masters in Mathematical Finance as an instructor and later as an adjunct professor in financial mathematics until 2002. Dr. Campolieti also founded a financial software and consulting company in 1998. He joined Laurier in 2002 as Associate Professor of Mathematics and as SHARCNET Chair in Financial Mathematics. Roman N. Makarov is Associate Professor and Chair of Mathematics at Wilfrid Laurier University. Prior to joining Laurier in 2003, he was an Assistant Professor of Mathematics at Siberian State University of Telecommunications and Informatics and a senior research fellow at the Laboratory of Monte Carlo Methods at the Institute of Computational Mathematics and Mathematical Geophysics in Novosibirsk, Russia.
Part I: Stochastic Calculus with Brownian Motion. 1. One-Dimensional Brownian Motion and Related Processes. 2. Introduction to Continuous-Time Stochastic Calculus. Part II Continuous-Time Modelling. 3. Risk-Neutral Pricing in the (B; S) Economy: One Underlying Stock. 4. Risk-Neutral Pricing in a Multi-Asset Economy. 5. American Options. 6. Interest-Rate Modelling and Derivative Pricing. 7. Alternative Models of Asset Price Dynamics. A. Essentials of General Probability Theory. B. Some Useful Integral (Expectation) Identities and Symmetry Properties of Normal Random Variables. C. Answers and Hints to Exercises. D. Glossary of Symbols and Abbreviations. Greek Alphabet. References. Index.
| Erscheinungsdatum | 07.12.2022 |
|---|---|
| Reihe/Serie | Textbooks in Mathematics |
| Zusatzinfo | 36 Line drawings, black and white; 36 Illustrations, black and white |
| Verlagsort | London |
| Sprache | englisch |
| Maße | 178 x 254 mm |
| Gewicht | 1100 g |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Angewandte Mathematik |
| Wirtschaft ► Betriebswirtschaft / Management ► Logistik / Produktion | |
| Wirtschaft ► Volkswirtschaftslehre | |
| ISBN-10 | 1-138-60363-5 / 1138603635 |
| ISBN-13 | 978-1-138-60363-9 / 9781138603639 |
| Zustand | Neuware |
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